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Investor Interest and Hedge Fund Returns

Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2010

Employing a new dataset of over 9,000 expressed demands for over 700 hedge funds from a secondary market for hedge funds, this paper finds evidence suggesting that hedge fund investors rationally anticipate future hedge fund performance. Both buy and sell indications of interest arrive following...

Persistent link: https://www.econbiz.de/10008692307

On the High-Frequency Dynamics of Hedge Fund Risk Exposures

Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2011

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important...

Persistent link: https://www.econbiz.de/10009205059

Asset fire sales and purchases and the international transmission of financial shocks

Jotikasthira, Chotibhak; Lundblad, Christian T; … - C.E.P.R. Discussion Papers - 2009

We provide new evidence on the channels through which financial shocks are transmitted across international borders. Employing monthly data from 1996 to 2008 on over 1,000 developed country-domiciled mutual and hedge funds, we show that inflows and outflows experienced by these funds translate...

Persistent link: https://www.econbiz.de/10008458295

The Secondary Market for Hedge Funds and the Closed-Hedge Fund Premium

Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2008

Employing data from a new secondary market for hedge funds, this paper documents the existence of a closed-hedge fund premium, analogous to the closed-end mutual fund premium which has been extensively studied in the literature. Over the past decade, the two premia comove with one another at...

Persistent link: https://www.econbiz.de/10005666409

Slow Moving Capital

Mitchell, Mark; Pedersen, Lasse Heje; Pulvino, Todd - C.E.P.R. Discussion Papers - 2007

We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While...

Persistent link: https://www.econbiz.de/10005788922

Hedge Funds: Performance, Risk and Capital Formation

Fung, William; Hsieh, David A; Naik, Narayan; … - C.E.P.R. Discussion Papers - 2006

We use a comprehensive dataset of Funds-of-Hedge-Funds (FoFs) to investigate performance, risk and capital formation in the hedge fund industry over the past ten years. We confirm the finding of high systematic risk exposures in FoF returns. We divide up the past ten years into three distinct...

Persistent link: https://www.econbiz.de/10005792343

Performance Maximization of Actively Managed Funds

Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - C.E.P.R. Discussion Papers - 2010

Ratios that indicate the statistical significance of a fund’s alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...

Persistent link: https://www.econbiz.de/10008468707

Idiosyncratic Return Volatility in the Cross-Section of Stocks

Kang, Namho; Kondor, Péter; Sadka, Ronnie - C.E.P.R. Discussion Papers - 2011

This paper uncovers the changes in the cross-sectional distribution of idiosyncratic volatility of stocks over the … period 1963--2008. The contribution of the top decile to the total market idiosyncratic volatility increased, while the …/Short-Equity funds further exacerbates large idiosyncratic shocks but attenuates small idiosyncratic shocks. This effect is stronger for …

Persistent link: https://www.econbiz.de/10008925711

The Impact of Hedge Funds on Asset Markets

Kruttli, Mathias; Patton, Andrew J; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2014

This paper provides empirical evidence of the impact of hedge funds on asset markets. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios, and show that it has strong in- and out-of-sample forecasting power for 72 portfolios of international equities, corporate...

Persistent link: https://www.econbiz.de/10011084210

Change You Can Believe In? Hedge Fund Data Revisions

Patton, Andrew J; Ramadorai, Tarun; Streatfield, Michael - C.E.P.R. Discussion Papers - 2012

We analyze the reliability of voluntary disclosures of financial information, focusing on widely-employed publicly available hedge fund databases. Tracking changes to statements of historical performance recorded at different points in time between 2007 and 2011, we find that historical returns...

Persistent link: https://www.econbiz.de/10011084298